If you are using Windows 10, go to Settings > Apps > click on Apps & Features in the left-pane. If you are trying to download a Third Party App or Program, make sure your computer has the permission to download Apps from anywhere on the internet.
In such cases, you should be able to download the file by right-clicking on the download link (not the Download button) and selecting Save As option. The problem could simply be due to the download button of the web page not functioning. Once you are in Incognito mode, try to download the file again. Open a New tab in Chrome Browser > click on 3-dots menu icon and select New Incognito Window option. If Chrome is not downloading an App or Program, the problem could be due to installation of Third Party App being disabled or due to the File download being blocked by the Antivirus program installed on your computer.